Run RDP Session with only 1 Program
Solution 1:
There is a new feature in Server 2008s terminal services called remoteapp that does what you're looking for I believe.
Description: http://4sysops.com/archives/windows-server-2008-terminal-services-new-features-part-2/
MS Guide: http://technet.microsoft.com/en-us/library/cc730673(WS.10).aspx
Solution 2:
You can set environment settings for every user on the Terminal server. Check in user environment settings to set startup program. It is built in feature. And if they close application, session will log off.
Solution 3:
This is easily done using the Remote Desktop Connection program that is installed on every computer Windows XP SP2 and higher.
When you start the program, click the "Options" button to display all options, and then click the "Programs" tab. Enter the local path of the program you wish to start (ie: c:\windows\notepad.exe).
Then save the connection as an RDP file and distribute it to your users.